Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0037
Annualized Std Dev 0.2878
Annualized Sharpe (Rf=0%) 0.0128

Row

Daily Return Statistics

Close
Observations 5585.0000
NAs 1.0000
Minimum -0.2900
Quartile 1 -0.0065
Median 0.0000
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0072
Maximum 0.2780
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0181
Skewness -0.0298
Kurtosis 34.2479

Downside Risk

Close
Semi Deviation 0.0130
Gain Deviation 0.0143
Loss Deviation 0.0150
Downside Deviation (MAR=210%) 0.0172
Downside Deviation (Rf=0%) 0.0129
Downside Deviation (0%) 0.0129
Maximum Drawdown 0.8012
Historical VaR (95%) -0.0247
Historical ES (95%) -0.0430
Modified VaR (95%) -0.0173
Modified ES (95%) -0.0173
From Trough To Depth Length To Trough Recovery
2007-02-06 2009-03-09 NA -0.8012 3556 526 NA
1999-01-21 1999-12-08 2001-06-07 -0.2876 598 223 375
2004-04-01 2004-05-10 2004-12-09 -0.2359 175 27 148
2005-08-02 2006-05-22 2006-12-01 -0.2063 338 203 135
2001-08-13 2001-09-20 2002-05-09 -0.2000 183 24 159

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.9 3 -0.5 -0.9 0.5 0 -0.5 2.1 2.8 0 0 -0.6 4.9
2000 -1.7 -0.6 0 3.4 1.6 1.6 0 -1 0 2.7 1.1 1.1 8.3
2001 -0.2 -0.2 0.7 0.2 3 -0.7 0.1 0.6 3.5 1.9 2 0.8 12.3
2002 -0.3 -0.6 -0.4 -0.1 1 -1 1 1.1 0.7 0.1 1.8 0.6 4
2003 1.1 1.2 0.1 0.9 1 0.4 -0.6 0.3 0.6 -0.2 0.4 1.8 7.2
2004 -0.7 1.1 -0.6 0.3 0.5 1.2 0.2 1.8 2 0.7 0.9 1.3 8.9
2005 -0.3 0.7 -0.7 0 -0.2 0.9 1 1.4 0.5 -1.1 1.4 -0.3 3.4
2006 0.4 0.6 0.2 0.3 2 0.9 0.6 0.7 0.1 -0.1 0.6 0.8 7.3
2007 0.6 -0.5 0.1 -0.3 0.1 -0.6 0.2 2 0.7 -2.5 2 0.8 2.5
2008 4.1 -3.2 0.9 0.6 -0.8 -0.9 0.1 2.7 3.5 1.5 0 4.3 13.3
2009 -2.8 -2.5 0.5 -3.8 3.6 4 4.3 -3.5 -2.6 -3.4 1.7 -0.6 -5.5
2010 2.2 0.7 1.8 -1.9 -1.8 -0.7 0.2 2.6 0.6 0.7 -1.6 1.4 4.2
2011 0.4 -1.4 0.2 0 -1.9 0.4 0.4 -1.1 -0.3 -0.4 -1.7 0.3 -4.8
2012 2 -0.4 0.2 -0.1 -1.2 2.2 0.9 0 -2.5 0.7 0.2 2.2 4.1
2013 -0.4 1.5 0.3 0.5 -1.4 -0.7 -0.8 -1.1 1.3 0.2 -0.9 1.9 0.2
2014 0.5 1.2 1.6 0 0.2 0.5 -0.3 0.2 0.1 1.2 -0.9 -0.3 4
2015 -1.4 0.5 0.5 0.4 0.2 2.3 1 -1.5 2.3 0 0.7 0.1 5.2
2016 1.2 1.8 -0.4 0.2 -0.3 1.3 0.1 0.1 0.3 -1.7 -1 1 2.5
2017 -0.5 0.2 0 0.9 0.5 -0.1 0.9 -0.3 -0.2 0.6 0.4 1.3 3.6
2018 -1.2 0.4 0.7 0.8 0.6 -0.6 0.4 -0.1 -0.2 0.2 1 0 2.1
2019 -0.6 0.1 0.2 1.4 1.6 0.6 -0.4 0 -0.5 0.3 2.1 0.7 5.5
2020 2.1 -3.6 -6.2 -2.3 7.5 4.1 -0.4 -1.5 1.8 -0.8 2.9 1.5 4.5
2021 1.6 1 -0.2 NA NA NA NA NA NA NA NA NA 2.4

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart